Replication files for: 

"Don�t Jettison the General Error Correction Model Just Yet: A Practical Guide to Avoiding Spurious Regression with the GECM"

Peter K. Enns
Nathan J. Kelly
Takaaki Masaki
Patrick C. Wohlfarth

There are three files:

Table1_sim.do
fn10_sim.do
appendix3_sim.R

Table1_sim.do is a STATA .do file that will reproduce the simulations from Table 1 of the text. The file can be opened and run in STATA.

fn10_sim.do is a STATA .do file that will reproduce the simulations referenced in footnote 10. The file can be opened and run in STATA.

appendix3_sim.R is an R script that produces the simulations mentioned in appendix 3. The file should be opened and run in R.